13618 (v.3) Financial Econometrics 575
| Area: | School of Economics and Finance |
| Credits: | 50.0 |
| Contact Hours: | 3.0 |
| Lecture: | 1 x 3 Hours Weekly |
| Syllabus: | Financial econometric methods and models based mainly on times series data. Stationery time series models. Modelling trends and volatility. ARCH/GARCH models. Muti-equation and VAR models. Cointegration and error corretion models. Use of statistical packages such as RATS and/or SAS. |
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| Unit Outcomes: | On completion of this unit students will have. A sound understanding of the general principles of finance. A reasonable knowledge of statistics and econometrics. A sound knowledge of some important areas in times series econometrics very frequently applied in the study of finance, and particularly in financial modelling. A sound understanding of a number of important times series models and the applications of those modelling techniques in finance. Ability to read and understand the advanced finance literature which frequently employs these methods and techniques. Gathered hands on experience with programming time series models with the RATS (Regression Analysis of Time Series) econometric package using real world financial data. Equiped students with some useful tools for carrying out their research theses later. Discussed common issues encountered in the application of cross sectional regression models in finance. |
| Text and references listed above are for your information only and current as of September 30, 2003. Please check with the unit coordinator for up-to-date information. |
| Unit References: | Watsham T. and Parramore K., (1997), Quantitative Methods in Finance, International Thomson Business Press. Granger C. and Newbold P., (****), Forecasting Economic Time Series, 2nd ed, Academic Press. Campbell, Lo and Mackinlay, (1996) Econometrics of Financial Markets, Princeton University Press. |
| Unit Texts: | Enders W., (1995), Applied Times Series Econometrics, Wiley Publishers. |
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| Unit Assessment Breakdown: | Class participation 5%, Computer lab assignment(s) 15 %, Examination 40 %, Test 40 %. This is by grade/mark asssessment. |
| Year | Location | Period | Internal | Area External | Central External | | 2004 | Bentley Campus | Semester 1 | Y | | | |
Current as of: February 2, 2004
CRICOS provider code 00301J
